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Record Nr. |
UNINA9910451487003321 |
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Titolo |
Credit correlation [[electronic resource] ] : life after copulas / / editors, Alexander Lipton, Andrew Rennie |
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Pubbl/distr/stampa |
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New Jersey, : World Scientific, c2008 |
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ISBN |
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1-281-91882-2 |
9786611918828 |
981-270-950-9 |
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Descrizione fisica |
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1 online resource (178 p.) |
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Altri autori (Persone) |
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LiptonAlexander |
RennieAndrew <1968-> |
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Disciplina |
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Soggetti |
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Credit derivatives |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Reprinted from the International journal of theoretical and applied finance, v. 10, no. 4 (June 2007). |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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CONTENTS; Introduction; Levy Simple Structural Models M. Baxter; 1. Introduction; 2. Levy Processes; 3. Credit Models for Single Names; 3.1. Example: Term structure of a single credit; 3.2. Extensions; 4. Portfolio Credit Models; 5. Calibration and Model Comparison; 6. Parameter Risks and Hedging; 6.1. Case study: Auto crisis May 2005; 7. Implementation and Other Products; 7.1. Calculating the distribution function; 7.2. Performing the optimization; 7.3. Other products; 8. Summary and Conclusions; References |
Cluster-Based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names D. Brigo, A. Pallavicini and R. Torresetti 1. Introduction; 2. Modeling Framework and the CPS Approach; 3. Avoiding Repeated Defaults; 3.1. Default-counting adjustment: GPL model (Strategy 0); 3.2. Single-name adjusted approach (Strategy 1); 3.3. GPCL model: Cluster-adjusted approach (Strategy 2); 3.4. Comparing models in a simplified scenario; 4. The GPCL Model Calibration; 4.1. Calibration results; 5. Extensions: Spread and Recovery Dynamics; 6. Conclusions; Acknowledgements; References |
Appendix A. Market Quotes Appendix B. Calibration Inputs and Outputs; Stochastic Intensity Modeling for Structured Credit Exotics A. |
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Chapovsky, A. Rennie and P. Tavares; 1. Introduction; 2. Model Setup; 2.1. Motivation; 2.2. Single credit dynamics; 2.3. Multiple credit dynamics; 2.4. Factorization of intensity dynamics; 2.5. Note on credit correlation; 3. Model Parametrization and Calibration; 3.1. Jump-only process; 3.2. Jump-CIR process; 3.3. Non-linear jump-diffusion process; 3.4. Idiosyncratic intensity dynamics; 4. Application to Structured Credit Exotics |
4.1. Approximating model dynamics 4.2. Pricing of derivatives; 4.2.1. Vanilla tranches; 4.2.2. European option on tranche; 4.2.3. Leveraged tranche; 4.2.4. Tranche with counterparty risk; 5. Conclusions; Acknowledgments; References; Large Portfolio Credit Risk Modeling M. H. A. Davis and J. C. Esparragoza-Rodriguez; 1. Introduction; 2. Model Description; 2.1. Formal definition of the model; 3. Fluid and Diffusion Limits; 4. Convergence Results for the Rating Distribution Process; 4.1. The fiuid limit; 4.2. The diffusion limit |
4.3. The infinitesimal generator of the single-obligor process and the probability of default 5. Computational Aspects: Quadratures; 5.1. CDO pricing; 5.2. Changes of measure, the Poisson space and Quadrature formulas; 5.2.1. The canonical space of a Poisson process; 5.2.2. Gaussian quadratures; 5.3. Some comparisons; 6. Calibration; 6.1. A 3-state environment process; 6.1.1. Implementation; 7. Conclusions; References; Empirical Copulas for CDO Tranche Pricing Using Relative Entropy M. A. H. Dempster, E. A. Medova and S. W. Yang; 1. Introduction |
1.1. Correlated intensities in portfolio credit risk modeling |
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Sommario/riassunto |
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The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from 1 trillion to 20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments su |
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2. |
Record Nr. |
UNINA9910815066903321 |
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Autore |
Fitzpatrick Carol |
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Titolo |
A short introduction to helping young people manage anxiety / / Carol Fitzpatrick |
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Pubbl/distr/stampa |
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London, England ; ; Philadelphia, Pennsylvania : , : Jessica Kingsley Publishers, , 2015 |
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©2015 |
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ISBN |
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Descrizione fisica |
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1 online resource (114 p.) |
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Collana |
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JKP Short Introductions Series |
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Disciplina |
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Soggetti |
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Anxiety in adolescence |
Anxiety disorders - Treatment |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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""A Short Introduction to Helping Young People Manage Anxiety""; ""Preface""; ""Chapter 1. What is anxiety?""; ""Chapter 2. Why are some young people more anxious than others?""; ""Chapter 3. Approaches that work with anxious young people""; ""Chapter 4. Helping anxious young people manage school""; ""Chapter 5. Helping with common forms of anxiety""; ""Chapter 6. Helping with different types of anxiety""; ""Chapter 7. Getting professional help""; ""Chapter 8. Special problems""; ""Chapter 9. What does the future hold?""; ""Appendix: Resources""; ""References""; ""Index""; ""Blank Page"" |
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Sommario/riassunto |
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Anxiety is an increasingly common problem in young people, but there are many different causes and types, and it can be difficult to know where to start in order to understand it and know how best to help.This easy-to-read guide provides information about the different types of anxiety and why some young people experience anxiety, and is full of advice and tips on how to help and support young people. As well as common types of anxiety such as generalised anxiety disorder and social anxiety disorder, it also covers issues or disorders that can occur alongside anxiety such as depression, self-h |
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